Style drift and fund performance in up and down markets: Australian evidence

Kathryn Holmes and Robert William Faff

Applied Financial Economics Letters, 2008, vol. 4, issue 6, pages 395-398

Abstract: We examine the impact of style drift on the fund performance measures of selectivity and market timing. We find that style drift is positively related to selectivity performance, only when the market is in decline. Flow volatility is positively related to market timing ability during upmarket conditions. In addition, we find that larger funds are superior at stock selection, regardless of market conditions.

Date: 2008

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